This talk presents a trust-region SQP algorithm for the solution of minimization problems with non-linear equality constrained problems. Instead of forming and factoring the dense constraint Jacobian, this algorithm approximates the Jacobian of equality constraints with a specialized quasi-Newton method [1]. Hence it is well suited to solve optimization problems related to PAPs. This algorithm represents a Byrd-Omojokun [2] trust-region approach that takes the inexactness of the Jacobian and its null-space representation into account. The global convergence of the algorithm to first-order critical points is ensured by the theoretical results presented in [3]. The quality of the approximated constraint Jacobian can be adjusted by verifying two conditions that measure the inexactness of the null space representation. The two required conditions on the inexactness can be easily verified during the optimization process.
Furthermore, we will discuss briefly how the derivative information is computed. Here we apply a targeted approach [4] combining automatic differentiation and more sophisticated integration algorithms, for example by CVODES, to evaluate the direct sensitivity equation, the adjoint equation and the second order adjoint equation.
Numerical results for a Simulated Moving Bed system and non-isothermal VSA O2 bulk gas separation processes are presented.
References:
1. Griewank, A; Walther, A. On constrained optimization by adjoint-based quasi-Newton methods. Optim. Methods. Softw. 2002; 17: 869-889.
2. Omojokun, E. Trust Region Algorithms for Optimization with Nonlinear Equality and Inequality Constraints, Ph.D. thesis, Department of Computer Science, University of Colorado, 1989.
3. Walther, A. A First-Order Convergence analyis of Trust-Region methods with inexact Jacobians. SIAM J. of Optim, 2008; 19(1): 307-325.
4. Ozyurt, D.B.; Barton, P.I. Cheap Second Order Directional derivatives of stiff ODE Embedded Fuctionals. SIAM J. Sci. Comput. 2005; 26(5): 1725-1743.